Sortino ratio

Excess return divided by downside deviation rather than total volatility, on the argument that upside movement is not risk.

The same portfolio with 15% downside deviation scores 0.76 against a Sharpe of 0.52.

The refinement is sensible and the measure is less used, partly because downside deviation is estimated from fewer observations and is therefore noisier.

It gives a fairer reading of strategies with asymmetric return profiles.